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Kalman filter - Wikipedia A wide variety of Kalman filters exists by now: Kalman's original formulation - now termed the "simple" Kalman filter, the Kalman–Bucy filter, Schmidt's "extended" filter, the information filter, and a variety of "square-root" filters that were developed by Bierman, Thornton, and many others
Kalman Filters v07. fm - MIT This introduction includes a description and some discussion of the basic discrete Kalman filter, a derivation, description and some discussion of the extend-ed Kalman filter, and a relatively simple (tangible) example with real numbers results
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